Event-driven long-only simulator with next-open fills, CN tradability
(halts, limit-up/down, stamp duty), PIT S&P 500 / CSI 300 membership,
rebalance-phase averaging, factor IC scans, maximin stepwise composite
search across 5-year blocks, walk-forward LightGBM/ridge combiners,
overlays, and deflated Sharpe. Fetchers pull 20y US OHLCV from Yahoo and
CSI 300/500 ever-members (membership snapshot from baostock, bars from
Yahoo). Research data lives in data/research/ (ignored).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
- web/src/server/paths.ts resolves the repo root from its own location,
loads the single repo-root .env, and defines data/web/ (watchlist,
stock cache, backtest cache) and data/precomputed/.
- The API spawns bridge.py at the repo root instead of ../quant.
- precompute_backtest.py writes to data/precomputed/ instead of
../stock-agent/data/precomputed.
- Rename the project to quant-trading (web package quant-trading-web).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
The monitor start script used to embed the proxy URL with credentials,
which kept scripts/ out of git. It now reads QUANT_MARKET_PROXY from the
untracked repo-root .env.
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
The append-only updater only fetched when last_date+1 < local date, never
revisited appended rows and forward-filled before saving. First-seen values
(partial intraday bars, late or missing prints) were frozen permanently: vs
Yahoo, 22% (US), 58% (CN) and 27% (ETF) of recent days had >0.5% daily-return
errors, CN never received same-day data, and HK tickers created US-holiday rows.
Panels are now stored raw (NaN = no print) and forward-filled on read; every
update re-downloads the last 30 days for the requested tickers, rescales older
history when Yahoo's split/dividend adjustment moves, drops rows printed by a
minority of tickers, and writes atomically under a per-market file lock.
Tickers Yahoo has no data for are retried weekly instead of every run.
rebuild() repairs panels written by the old updater.
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
Add .qoder/ (local tool settings) and SEC fundamental data
(sec_frames/, sec_company_tickers.json) to prevent large
downloaded datasets from being tracked.
New FactorComboStrategy class (strategies/factor_combo.py) implements
8 champion factor signals (4 US, 4 CN) discovered through iterative
factor research, each at 4 rebalancing frequencies (daily/weekly/
biweekly/monthly). Registered in trader.py as fc_{signal}_{freq}.
Existing strategies and state files are untouched — safe to git pull
and restart monitor on server.
Also includes factor research scripts (factor_loop.py, factor_research.py,
etc.) used to discover and validate these factors.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Backtesting engine supporting 11 strategies across US (S&P 500) and CN (CSI 300)
markets with open-to-close execution, proportional + fixed per-trade fees.
Daily trader (trader.py) with auto/morning/evening/simulate/status commands
and cron-friendly `auto` mode for unattended daily runs on a server.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
